The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation
研究标普500指数成分股调整的价格效应，发现新增股票价格永久上涨但剔除股票无永久下跌，这种不对称性可由投资者关注度变化解释。
ABSTRACT We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 index additions and deletions.